General-Equilibrium Pricing of Stock Index Futures Allowing for Regular and Irregular Events Underlying the Stochastic Market Volatility

考慮隨機波動性中的正常與異常事件後、股價指數期貨的一般均衡定價模型

林修葳(William Hsiou-Wei Lin) ； 王佳真(Jai-Jen Wang) ； 徐辜元宏(Yuan-Hung Hsuku)

《財務金融學刊》 22卷1期 (2014/03) Pp. 1-32

https://doi.org/10.6545/JFS.2014.22(1).1

摘要

本文採用「資訊到達的時間間隔」（information time; Chang, Chang, Chang, and Lim（1998））以及「跳躍事件」（jump; Merton,（1976））的設定，區分標的資產價格波動性中，屬於正常或異常事件的部份，並推導出CIR（Cox, Ingersoll, and Ross（1985）；Hemler and Longstaff（1991））一般均衡架構下的股價指數期貨定價封閉解。根據比較靜態與模擬分析的結果，這種進一步的解析，有助於釐清文獻中對於經濟變數間關係的一些爭議。

關鍵字

隨機波動性 ； 跳躍事件 ； 資訊到達的時間間隔 ； 跨期期貨定價 ； 一般均衡模型

並列摘要

Information-time (Chang, Chang, and Lim (1998)) and jump (Merton (1976)) settings are applied to highlight the stochastic-volatility effects on futures pricing resulting from regular and irregular events and derive a general-equilibrium formula in its closed form under the CIR framework (Cox, Ingersoll, and Ross (1985); Hemler and Longstaff (1991)). Partial differential and simulation results show that disputed relationships in literature among economic variables can be explained by further exploring different stochastic dimensions of the market volatility.

並列關鍵字

Stochastic volatility ； jump ； information time ； intertemporal futures pricing ； generalequilibrium model

參考文獻

Ahn, Chang M.,Cho, Chinhyung D.,Park, Keehwan(2007).The pricing of foreign currency options under jump-diffusion processes.Journal of Futures Markets.27,669-695.

Amin, Kaushik I.,Ng, Victor K.(1993).Option valuation with systematic stochastic volatility.Journal of Finance.48,881-910.

Bakshi, Gurdip,Cao, Charles,Chen, Zhiwu(1997).Empirical performance of alternative option pricing models.Journal of Finance.52,2003-2049.

Bates, David S.(1991).The crash of 87: Was it expected? The evidence from options markets.Journal of Finance.46,1009-1004.

Bates, David S.(1996).Jumps and stochastic volatility: Exchange rate processes implicit in deutsche mark options.Review of Financial Studies.9,69-107.